Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0683 |
| Annualized Std Dev | 0.3720 |
| Annualized Sharpe (Rf=0%) | -0.1836 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4376.0000 |
| NAs | 1.0000 |
| Minimum | -0.2574 |
| Quartile 1 | -0.0062 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0073 |
| Maximum | 0.5323 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0005 |
| Stdev | 0.0234 |
| Skewness | 1.5275 |
| Kurtosis | 80.5434 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0168 |
| Gain Deviation | 0.0200 |
| Loss Deviation | 0.0214 |
| Downside Deviation (MAR=210%) | 0.0205 |
| Downside Deviation (Rf=0%) | 0.0168 |
| Downside Deviation (0%) | 0.0168 |
| Maximum Drawdown | 0.9578 |
| Historical VaR (95%) | -0.0259 |
| Historical ES (95%) | -0.0569 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.9578 | 3474 | 444 | NA |
| 2003-11-18 | 2004-05-10 | 2005-07-28 | -0.2508 | 426 | 119 | 307 |
| 2005-08-04 | 2005-10-13 | 2006-03-06 | -0.1373 | 147 | 50 | 97 |
| 2007-02-08 | 2007-03-05 | 2007-06-04 | -0.1222 | 80 | 17 | 63 |
| 2006-03-20 | 2006-05-24 | 2006-08-03 | -0.1037 | 96 | 47 | 49 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 1 | -0.6 | 0.3 |
| 2004 | -0.1 | 0.6 | -0.3 | -0.6 | 0 | 1.4 | 1.9 | 0.6 | 1.9 | 1 | 1 | 0.5 | 8 |
| 2005 | 1.8 | 1.6 | 1 | 0.4 | 1.9 | 0.5 | 0.2 | 1.3 | 1 | -0.7 | 1.3 | 0.8 | 11.5 |
| 2006 | 0.1 | 0.6 | 0.1 | -0.1 | 1.2 | 1.2 | 0 | -0.9 | 0.2 | -0.1 | 0.2 | 0.7 | 3.3 |
| 2007 | -0.5 | -1.2 | 0.4 | -0.7 | 0.6 | -0.3 | -0.7 | 3.2 | 1.5 | -2.7 | 1.8 | 4.1 | 5.2 |
| 2008 | 3.2 | -1.5 | 6 | 2.7 | 1 | 0 | 2.9 | 0.3 | 2.8 | 6.4 | 0 | 4.6 | 32.1 |
| 2009 | -4.9 | -4.6 | 3.2 | 2.1 | 3.1 | 4.7 | 0.9 | -4.2 | -2.1 | -6.8 | 0.7 | -1.6 | -9.8 |
| 2010 | 1.4 | 2.3 | 0.6 | -2.9 | -3.1 | 0.9 | 0.3 | 2.3 | 1.1 | 0 | 0 | 0.3 | 2.8 |
| 2011 | 0.2 | -1.9 | 0.5 | 0.5 | -1.6 | 1.4 | 0.2 | -1.5 | -1.9 | -2.3 | -1.3 | 1.1 | -6.6 |
| 2012 | 1.2 | 0.5 | 1.7 | 0.5 | -1.4 | 1.6 | 1.5 | 1.1 | -0.4 | 2.8 | 0 | 0.9 | 10.2 |
| 2013 | 0.3 | 0.4 | 0.6 | 0.2 | -2.5 | 0.6 | -1.1 | 0.3 | 1.1 | -0.2 | -1.3 | -0.7 | -2.3 |
| 2014 | 0.2 | -0.2 | 0.2 | 1 | -0.2 | 0.4 | -1 | 0.8 | -0.2 | 0.8 | 0 | -0.4 | 1.4 |
| 2015 | -1.2 | 1.1 | -0.2 | 0.6 | 0.8 | 1.5 | 1.2 | -2 | -0.9 | 0.4 | 1.2 | 0.8 | 3.4 |
| 2016 | -0.4 | 1.7 | 0 | 0 | -0.2 | 0.4 | -0.5 | -0.3 | -0.2 | -1.7 | -1.6 | 1.5 | -1.4 |
| 2017 | -0.9 | -0.5 | 0.9 | -0.2 | 1.1 | -0.4 | 1.1 | -0.2 | 1.4 | 0 | -0.2 | 0.7 | 3 |
| 2018 | 0.2 | 0 | 1.3 | 1.5 | 1.4 | 0.6 | -0.4 | -0.2 | 1 | -1.7 | 1 | 1.2 | 6 |
| 2019 | -1.1 | -0.8 | -0.6 | 0.5 | -0.4 | 0.1 | -0.9 | -0.2 | -1.4 | 0.5 | 0.5 | 0.4 | -3.3 |
| 2020 | -1 | -4.8 | -8.7 | -3.5 | 4.3 | 2.8 | -0.8 | 1.3 | 3.2 | 0.3 | 1.2 | 1.8 | -4.6 |
| 2021 | 1.2 | 1.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
